Dirk Enzmann has tickled a domain limit of Stata's -rnbinomial()- function.
He states:

> Unfortunately, I am not able to solve the following problem in Stata
> which I can solve easily using R:
>
> As far as I can see Stata does not allow to draw random values from a
> negative binomial distribution if "size" (= 1/alpha) is less than 0.1
> (see -h rnbinomial-). I tried to circumvent this problem by (1) creating
> random draws from a gamma distribution with shape parameter = size and
> scale parameter = (1-prob)/prob, with prob = size/(size+mu), and
> subsequently creating random draws from a poisson distribution with
> parameter m = the result of the previous random draws from the gamma
> distribution. However, if size is small, this does not help either.

We have determined that the domain limit for the size parameter, labeled as n
in Stata's documentation, is too conservative for a certain region of the
parameter space, when n<0.1 but n*(1-p)/p<100 and p^n>1e-4. Dirk's example
falls into this region. We will update -rnbinomial()- in Stata 12 and Stata
13 to produce a result in this region.
- -- Rich
rgates@stata.com